Skip to content

GeoffreyLionn/Option-Numerical-Methods

Repository files navigation

Option Numerical Methods

The following repository's purpose is to estimate the value of options using various popular numerical methods:

  1. Black Scholes Model
  2. Binomial Tree
  3. Quasi Monte Carlo Simulation
  4. Finite Differences (Implicit and Explicit)
  5. Longstaff-Schwartz Monte Carlo Simulation (for American Options)

About

Option valuation with numerical methods

Topics

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published

Languages